AAM  >> Vol. 4 No. 2 (May 2015)

    A Remark on the Pricing Problem for Discrete Arithmetic Average Asian Options

  • 全文下载: PDF(299KB) HTML   XML   PP.112-116   DOI: 10.12677/AAM.2015.42015  
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吴 方:安徽师范大学数学计算机科学学院,安徽 芜湖

亚式期权算术平均亚式期权期权定价Asian Option Arithmetic Average Asian Option Option Pricing



In this paper, we investigated the pricing for arithmetic average Asian options of discrete sampling. Curran analytical pricing formula and its demonstration were given, and then differences and the advantages and disadvantages between Curran analytical pricing formula and Nielsen analytical pricing formula were analyzed.

吴方. 离散算术平均亚式期权定价的一个注记[J]. 应用数学进展, 2015, 4(2): 112-116. http://dx.doi.org/10.12677/AAM.2015.42015


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